Pricing Derived Securities Under an Edgeworthian Process
The purpose of this paper is twofold. First, it introduces a new version of the Edgeworth process with trading activities centered around self-interested enterprising arbitragers; and second it examines how the prices of the derived securities are deteremined under this process.
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|Date of creation:||1996|
|Contact details of provider:|| Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242|
Phone: (319) 335-0829
Fax: (319) 335-1956
Web page: http://tippie.uiowa.edu/economics/
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